Insurance with frequent trading
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- dc.contributor.author Penalva, José S.ca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T12:08:02Z
- dc.date.available 2017-07-26T12:08:02Z
- dc.date.issued 1997-10-01
- dc.date.modified 2017-07-23T02:04:22Z
- dc.description.abstract This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in a few natural securities: private insurance contracts and a common set of derivatives on the aggregate endowment. The parsimonious nature of the implied securities needed for Pareto optimality suggests that in such contexts complete markets is a very reasonable assumption.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=365
- dc.identifier.citation Review of Economic Dynamics 4 (2001), pp. 790-822
- dc.identifier.uri http://hdl.handle.net/10230/1174
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 365
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword risk-sharing
- dc.subject.keyword insurance
- dc.subject.keyword hedging
- dc.subject.keyword point-processes
- dc.subject.keyword complete markets
- dc.subject.keyword general equilibrium
- dc.subject.keyword Finance and Accounting
- dc.title Insurance with frequent tradingca
- dc.title.alternative Insurance with Frequent Trading: A Dynamic Analysis of Efficient Insurance Markets
- dc.type info:eu-repo/semantics/workingPaper